The loss wiped out any gain from these investments in 1Q13, reducing the total return for the first six months of the year to just three basis points.
The loss is because of a drop in the price component. Income from the investments was 1.29%, but price lost 3.21% for the period. LifeComps explained pricing was hit hardest by a sharp upward shift in the Treasury yield curve for maturities greater than one year. Yields on the 10-year Treasury increased 65 basis points over the quarter.
For the quarter, industrial properties had the best performance, a 119 bp loss; followed by office, a 183 bp loss; apartment, a 218 bp loss; and retail, a 233 bp loss.
The cumulative 12-month return on life company commercial mortgage investments was 4.24%.